to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a … wide range of models: CAPM, quadratic CAPM, C‐CAPM, Carhart’s 4‐factor model, an extended C‐CAPM with durable consumption …

from the loan performance database on securitized private-label pool collateral, we utilize a two-step estimation procedure … to control for the endogeneity of delinquency in an estimation of default and prepayment probabilities. We find strong … support for the "distressed prepayment" theory that very delinquent loans are more likely to prepay than to default and that …